Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0027
Annualized Std Dev 0.1444
Annualized Sharpe (Rf=0%) -0.0188

Row

Daily Return Statistics

Close
Observations 4624.0000
NAs 1.0000
Minimum -0.0880
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0037
Maximum 0.1108
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0091
Skewness 0.2467
Kurtosis 24.0070

Downside Risk

Close
Semi Deviation 0.0064
Gain Deviation 0.0073
Loss Deviation 0.0074
Downside Deviation (MAR=210%) 0.0116
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.5363
Historical VaR (95%) -0.0119
Historical ES (95%) -0.0213
Modified VaR (95%) -0.0099
Modified ES (95%) -0.0099
From Trough To Depth Length To Trough Recovery
2005-08-05 2008-12-15 2012-01-26 -0.5363 1629 845 784
2012-11-29 2020-03-23 NA -0.3839 2091 1840 NA
2003-07-03 2004-05-13 2005-06-29 -0.1941 502 218 284
2012-02-03 2012-03-16 2012-09-28 -0.1303 166 30 136
2002-11-19 2003-03-26 2003-07-02 -0.1024 153 85 68

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA 0 0.1 0.7 0.8
2003 -0.4 -0.2 1.6 0 -0.1 -0.1 1.2 0.6 1.8 0 1.2 -0.1 5.5
2004 0.3 0.7 -1.1 0.8 0.9 0.6 0.5 -0.4 -0.6 1.5 -0.1 -0.2 2.9
2005 0.5 0.4 0 0.1 -0.5 0.6 0.2 1 0.1 0.7 -0.8 -0.4 1.8
2006 0.1 0.2 0.1 -0.1 0.8 0.5 0.1 -0.7 -1.2 0.9 0.1 -0.9 -0.1
2007 -0.1 -0.1 0.5 0.1 0.1 -0.6 0.1 0.6 -0.3 -1.2 0.1 0.6 -0.2
2008 1.5 -2.7 0.2 -0.1 -0.6 0.2 0.1 0.2 -0.5 1 -2 -0.8 -3.4
2009 0.6 -2.3 1.6 0 0.7 1.8 2.9 -0.2 -0.8 -1.5 -1.9 0.7 1.5
2010 1 -0.1 -1 0.4 -0.1 0.4 0.9 0.3 0.7 -0.9 1.2 -0.2 2.4
2011 1.1 0.3 1 -0.5 0.9 0.8 1.2 0.7 0.1 0.7 0.6 0.3 7.5
2012 -0.2 0 -0.1 0.5 -0.2 0.8 -0.7 -0.5 -0.5 0.1 -1.2 0.2 -1.7
2013 0.9 0.1 0.4 0.4 -1.2 0 0.6 -0.6 0 -0.9 0.1 0.1 -0.1
2014 0.5 -0.6 -0.1 0.3 -0.3 -0.4 -0.2 0.5 0.2 -0.4 0.3 0.1 0.1
2015 0.6 0 0.1 -0.2 0.7 0.5 1.1 -0.6 0.5 0.2 0.1 0.9 4
2016 0.4 -0.1 0.3 0.5 1 0.2 -0.1 1.2 0.1 -0.1 -1.5 0.2 2
2017 0.2 -0.2 0.2 -0.1 0 0.4 0.5 0.3 0.3 0.5 -0.1 0.2 2.2
2018 0 -0.2 0.2 0 0 0.2 -0.2 -0.2 0.7 0.3 0.3 0.1 1.3
2019 0.4 -0.2 0 0.5 0.1 0.2 0.1 0.4 0.4 0.2 0.2 -0.1 2.4
2020 0.3 -2.2 -2.5 0.6 0.7 0.6 0.1 0.4 0.1 0.2 -0.1 0.5 -1.6
2021 0.4 0.9 0.1 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-10-29    15 SPY    88.6 -0.0116  -0.0106   0.0829  -0.0284   -0.176   -0.316       NA <NA>     NA    NA       NA
2 2002-10-30    15 SPY    89.4  0.0097  -0.0085   0.0433   0.0073   -0.158   -0.300       NA <NA>     NA    NA       NA
3 2002-10-31    15 SPY    88.5 -0.0102   0.0018   0.0646   0.0199   -0.163   -0.320       NA <NA>     NA    NA       NA
4 2002-11-01    15 SPY    90.3  0.0198   0.0008   0.0967   0.0776   -0.168   -0.329       NA <NA>     NA    NA       NA
5 2002-11-04    15 SPY    91.1  0.0095   0.017    0.128    0.0524   -0.166   -0.335       NA <NA>     NA    NA       NA
6 2002-11-05    15 SPY    91.8  0.0079   0.037    0.161    0.0426   -0.170   -0.322       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart